The role of the timeline in Granger causality test in the presence of daily data non-synchronism
The factor of the earlier/later closing market, which appears in pairs of time series with non-synchronism problem exposure, may predetermine the results of the Granger causality test conducted on classic form. The shift in GMT timeline reverses the exposure of the market to the factor of earlier/later closing market, and may change the results of Granger causality test conducted on classic form. Verification of the given assumption on empirical data demonstrated that the US market, having moved from the later closing market to the earlier closing market condition (factor), started to show the behavior similar to other earlier closing markets.
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